Systematics of Advanced Capital Market Models based on Empirical Research
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References listed on IDEAS
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000.
"Do Call Prices and the Underlying Stock Always Move in the Same Direction?,"
Review of Financial Studies,
Society for Financial Studies, vol. 13(3), pages 549-584.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1999. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Yale School of Management Working Papers ysm125, Yale School of Management.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics,in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
More about this item
KeywordsModel Systematics; Black Scholes; fair value; option pricing; mispricing; artificially generated 'cloned' quotations; stochastic volalatility; mean reversion; test methods; testing capital market models; experimental economical research; ODE; PDE; hyperbolic; index particularities;
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-12-20 (All new papers)
- NEP-CFN-2005-12-20 (Corporate Finance)
- NEP-FMK-2005-12-20 (Financial Markets)
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